Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels

DOI10.1017/S0266466611000077MaRDI QIDQ3108569zbMATH OpenOpenAlexFDO

Authors Yixiao Sun, Peter C. B. Phillips, Sainan Jin

Publication date 4 January 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466611000077

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Testing-optimal kernel choice in HAR inference
• On size and power of heteroskedasticity and autocorrelation robust tests
• Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing

Cites work

• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Simple Robust Testing of Regression Hypotheses
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests

Cited in

(9)

• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Controlling the size of autocorrelation robust tests
• Testing-optimal kernel choice in HAR inference
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
• On size and power of heteroskedasticity and autocorrelation robust tests
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Is Newey-West optimal among first-order kernels?
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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